FPTdensity_byint: Evaluation of the FPT density and distribution functions

In GaDiFPT: First Passage Time Simulation for Gaussian Diffusion Processes

Description

The FPT density g0 and distribution function gg0 are evaluated up to a fixed time T on N1max gridpoints by numerical integration of the Volterra integral equation given in Buonocore 1987. Note that this time may not correspond to the final time Tfin when full reconstruction of the FPT density by quadrature is not required (quadflag set to 0 in the input parameters list).

Usage

FPTdensity_byint(obj,n1max)

Arguments

obj	An “inputlist” class object yielding all the input parameters
n1max	Total number of gridpoints in the evaluation procedure

Value

Values are returned as an object of class “FPTdensity” yielding the timegrid and the corresponding values of the FPT density and FPT distribution.

Author(s)

A. Buonocore, M.F. Carfora

References

Buonocore, A., Nobile, A.G., and Ricciardi, L.M., A new integral equation for the evaluation of first-passage-time probability densities. Adv Appl Prob 19 (1987), 784–800.

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## Continuing the Wiener() example:


Nmax <- which.min(abs(mp[2:(N+1)]-mp[1:N]))
N1 <- N
if (quadflag == 0)   N1 <- max(c(Nmax,N/4))
N1p1 <- N1+1
answer <- FPTdensity_byint(param,N1)
plot(answer)

GaDiFPT documentation built on May 2, 2019, 1:18 p.m.